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Gary3302
Posted : Saturday, September 16, 2017 9:37:06 AM
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Joined: 1/5/2008
Posts: 111

How would I create a scan condition for Hull Moving Average 21 that would identify the following:

 

1.  When the average has changed from moving down to moving up on the last daily price bar.

2.  When the average has changed from moving up to moving down on the last daily price bar. 

 

Thanks in advance

Bruce_L
Posted : Saturday, September 16, 2017 10:35:45 AM


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Joined: 10/7/2004
Posts: 63,972

I generally just check for the moving average to be crossing up or down through its own 2 period moving average (and I usually use exponential, but it probably doesn't matter that much).

So changing from moving down to moving up would be the following in TC2000 v17.

XUP(HAVGC21, XAVG(HAVGC21, 2))

And changing from moving up to moving down would be the following.

XDOWN(HAVGC21, XAVG(HAVGC21, 2))

You could also explicitly check for going one direction during the current bar and the other direction during the previous bar. So down to up would be:

HAVGC21 > HAVGC21.1 AND HAVGC21.1 < HAVGC21.2

And up to down would be:

HAVGC21 < HAVGC21.1 AND HAVGC21.1 > HAVGC21.2



-Bruce
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Gary3302
Posted : Saturday, September 16, 2017 11:52:33 AM
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Joined: 1/5/2008
Posts: 111

Thanks Bruce, really appreciate the quick response on a Saturday morning.

stockscience
Posted : Monday, May 07, 2018 3:25:13 PM
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Joined: 6/26/2011
Posts: 128

Hi Bruce:

         Could you tell me c0 such that  havgc21=havgc21.1?

Bruce_L
Posted : Monday, May 07, 2018 3:52:53 PM


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Joined: 10/7/2004
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Please try the following.

(203 * C4 + 3330 * AVGC6.5 + 345 * C11 + 177 * C12 + 51 * C13 - 1075 * C1 - 612 * C2 - 186 * C3 - 33 * C14 - 525 * AVGC7.14 - 50 * C22 - 30 * C23 - 15 * C24 - 5 * C25) / 1575



-Bruce
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stockscience
Posted : Monday, May 07, 2018 4:00:03 PM
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Joined: 6/26/2011
Posts: 128

QUOTE (Bruce_L)

Please try the following.

(203 * C4 + 3330 * AVGC6.5 + 345 * C11 + 177 * C12 + 51 + C13 - 1075 * C1 - 612 * C2 - 186 * C3 - 33 * C14 - 525 * AVGC7.14 - 50 * C22 - 30 * C23 - 15 * C24 - 5 * C25) / 1575

 

Hmm. The formula seems to be too low most of the time - should be where havgc slope changes.

Bruce_L
Posted : Monday, May 07, 2018 4:34:11 PM


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Joined: 10/7/2004
Posts: 63,972

Well then maybe you can identify where the problem might be since I really don't have enough blood going to my brain today (and I mean that quite literally).

HAVGC21 = (1575 * C + 2650 * C1 + 3262 * C2 + 3448 * C3 + 3245 * C4 + 2690 * C5 + 2135 * C6 + 1580 * C7 + 1025 * C8 + 470 * C9 - 85 * C10 - 430 * C11 - 607 * C12 - 658 * C13 - 625 * C14 - 550 * C15 - 475 * C16 - 400 * C17 - 325 * C18 - 250 * C19 - 175 * C20 - 100 * C21 - 50 * C22 - 20 * C23 - 5 * C24) / 17325

You can test the above by overlaying it into the same pane and scale as an HAVGC21 applied to price.

And you want HAVGC21 = HAVGC21.1. So:

(1575 * C + 2650 * C1 + 3262 * C2 + 3448 * C3 + 3245 * C4 + 2690 * C5 + 2135 * C6 + 1580 * C7 + 1025 * C8 + 470 * C9 - 85 * C10 - 430 * C11 - 607 * C12 - 658 * C13 - 625 * C14 - 550 * C15 - 475 * C16 - 400 * C17 - 325 * C18 - 250 * C19 - 175 * C20 - 100 * C21 - 50 * C22 - 20 * C23 - 5 * C24) / 17325 = (1575 * C1 + 2650 * C2 + 3262 * C3 + 3448 * C4 + 3245 * C5 + 2690 * C6 + 2135 * C7 + 1580 * C8 + 1025 * C9 + 470 * C10 - 85 * C11 - 430 * C12 - 607 * C13 - 658 * C14 - 625 * C15 - 550 * C16 - 475 * C17 - 400 * C18 - 325 * C19 - 250 * C20 - 175 * C21 - 100 * C22 - 50 * C23 - 20 * C24 - 5 * C25) / 17325

We can get rid of the () / 17325 on both sides to get the following.

1575 * C + 2650 * C1 + 3262 * C2 + 3448 * C3 + 3245 * C4 + 2690 * C5 + 2135 * C6 + 1580 * C7 + 1025 * C8 + 470 * C9 - 85 * C10 - 430 * C11 - 607 * C12 - 658 * C13 - 625 * C14 - 550 * C15 - 475 * C16 - 400 * C17 - 325 * C18 - 250 * C19 - 175 * C20 - 100 * C21 - 50 * C22 - 20 * C23 - 5 * C24 = 1575 * C1 + 2650 * C2 + 3262 * C3 + 3448 * C4 + 3245 * C5 + 2690 * C6 + 2135 * C7 + 1580 * C8 + 1025 * C9 + 470 * C10 - 85 * C11 - 430 * C12 - 607 * C13 - 658 * C14 - 625 * C15 - 550 * C16 - 475 * C17 - 400 * C18 - 325 * C19 - 250 * C20 - 175 * C21 - 100 * C22 - 50 * C23 - 20 * C24 - 5 * C25

And move everything besides 1575 * C to the right side and combine terms.

1575 * C = -1075 * C1 + -612 * C2 + -186 * C3 + 203 * C4 + 555 * C5 + 555 * C6 + 555 * C7 + 555 * C8 + 555 * C9 + 555 * C10 + 345 * C11 + 177 * C12 + 51 * C13 + -33 * C14 + -75 * C15 + -75 * C16 + -75 * C17 + -75 * C18 + -75 * C19 + -75 * C20 + -75 * C21 + -50 * C22 + -30 * C23 + -15 * C24 + -5 * C25

And then divide everything by 1575.

C = (-1075 * C1 + -612 * C2 + -186 * C3 + 203 * C4 + 555 * C5 + 555 * C6 + 555 * C7 + 555 * C8 + 555 * C9 + 555 * C10 + 345 * C11 + 177 * C12 + 51 * C13 + -33 * C14 + -75 * C15 + -75 * C16 + -75 * C17 + -75 * C18 + -75 * C19 + -75 * C20 + -75 * C21 + -50 * C22 + -30 * C23 + -15 * C24 + -5 * C25) / 1575

And re-arrange everything and combine like factors to allow the use of AVGC and get the formula given earlier.

(203 * C4 + 3330 * AVGC6.5 + 345 * C11 + 177 * C12 + 51 C C13 - 1075 * C1 - 612 * C2 - 186 * C3 - 33 * C14 - 525 * AVGC7.14 - 50 * C22 - 30 * C23 - 15 * C24 - 5 * C25) / 1575

Note that C1 through C7 all have greater weight than C and C10 through C24 actually provide a negative contribution when calculating a 21 period Hull moving average, so that might be leading to counterintuitive results.



-Bruce
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stockscience
Posted : Monday, May 07, 2018 5:17:58 PM
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Joined: 6/26/2011
Posts: 128

Well done... Thank you.  The second to last  formula works fine.  The main problem with the  final formula is  "51+c13" should be 51*c13". The two formulas

still produce slightly different numbers - may be due to floating point in avgc?.

 

Hope you feel better soon  :)

Bruce_L
Posted : Monday, May 07, 2018 5:39:48 PM


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Joined: 10/7/2004
Posts: 63,972

I was hoping it was going to be something simple. I am happy to read you found it. It has been corrected above.



-Bruce
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